Based on Financial Products Linked to SHIBOR

Transcription

1 Available online a Proceia Compuer Science 7 (3 ) Informaion Technology an Quaniaive anagemen (ITQ 3) Are There Some anipulaion s of SHIBOR A Hypohesis Tesing Base on Financial Proucs Linke o SHIBOR Lin Chen a*, Zongfang Zhou a a School of managemen an economics, Universiy of Elecronic Science & Technology of China Chengu, Sichuan, 654, China Absrac anipulaion of LIBOR evens has soune he alarm o our how o regulae he evelopmen he SHIBOR.The financial proucs linke o SHIBOR have emerge in recen years, bank of SHIBOR quoing may base on self- ineres, here may be an inrinsic moivaion for higher or lower quoing SHIBOR.Base on analysis of financial proucs linke o seven-ays-shibor an hree-monhs-shibor beween an, an o a hypohesis esing ha are here some manipulaions of SHIBOR.The esing resul showe ha uring he ae of sales financial proucs, he higher quoing SHIBOR behavior may be exising, in orer o raise people's expecaions of yiel of financial proucs, bu lower quoing SHIBOR behavior may no be exising a he ae of calculaing ineres of financial proucs. 3 The Auhors. Publishe by Elsevier B.V. Open access uner CC BY-NC-ND license. Selecion an peer-review uner responsibiliy of he organizers of he 3 Inernaional Conference on Informaion Technology an Quaniaive anagemen Keywors Financial proucs linke o SHIBOR, anipulaion of SHIBOR, Hypohesis Tesing. Inroucion The Lonon Inerbank Offere Rae (LIBOR) is he average ineres rae esimae by leaing banks in Lonon ha hey woul be charge if borrowing from oher banks. LIBOR has become one of he mos impo ran reference sanars for ineres rae in he global financial markes, a he same ime, he change of LIBOR will impac on price of a lo of financial proucs. In June, Expose LIBOR manipulaion even brough a huge shock o he enire inusry. Thus, i is causing people o hink wha is he reason of LIBOR manipulaion even, how i is effecs of LIBOR manipulaion even, an so on. The Shanghai Inerbank Offere Rae (SHIBOR) is he average ineres rae a which erm eposis are offere beween prime banks in he Shanghai wholesale money marke or inerbank marke a china. Because here are some same mechanisms an funcions beween SHIBOR an LIBOR, so LIBOR manipulaion even cause we hink is here SHIBOR manipulaion even a china financial marke. Accoring o his oub, his paper will o a hypohesis esing on SHIBOR manipulaion even base on aa of financial proucs linke o SHIBOR. Alhough he SHIBOR no like LIBOR as an imporan ineres rae of global financial marke, bu i has a more an more role in omesic marke. Afer naissance of SHIBOR, omesic scholar has suie on SHIBOR in he following aspecs ( ) The SHIBOR can become he benchmark ineres rae on he money marke in China? As well as empirical analysis of SHIBOR effeciveness [-4]. () Wha are he characerisics of SHIBOR flucuaions [5-6]. (3) How o price he financial prouc of line o SHIBOR [7-8]. (4)The erm srucure of SHIBOR analysis * Corresponing auhor aress Chen_lin3@63.com The Auhors. Publishe by Elsevier B.V. Open access uner CC BY-NC-ND license. Selecion an peer-review uner responsibiliy of he organizers of he 3 Inernaional Conference on Informaion Technology an Quaniaive anagemen oi.6/j.procs.3.5.9

2 94 Lin Chen an Zongfang Zhou / Proceia Compuer Science 7 ( 3 ) an empirical research [9-]. (5) Empirical research beween SHIBOR an repo rae of naional bon [-]. Before exposing of LIBOR manipulaion even, here is no scholar pay aenion o he probabiliy of SHIBOR man ipulaion. Bu LIBOR manipu laion even ell us here may be also exis he probabiliy of SHIBOR manipulaion, he inrinsic reason may come from he bug of operaion mechanisms. Now, he price quoaion group of SHIBOR consiss of 6 commercial banks.these quoing banks are primary ealers of open marke operaion or marke makers in he inerbank marke, wih soun informaion isclosure an acive RB ransacions in China's money marke. In recen years, more an more commercial banks inclue SHIBOR price quoaion member issue a los of financial proucs linke o SHIBOR.So he change of SHIBOR will affec he values of more an more financial marke in china. Similar o he LIBOR quoes an manipulaion, some commercial banks also may be quoe lower or higher SHIBOR for cerain purposes, for example, while sale ae of he financial proucs line o SHIBOR, commercial banks may quoe more higher SHIBOR, an improve he araciveness for invesors, on he oher han, a he coupon ae, commercial banks may quoe more lower SHIBOR for purpose of paying more lower coupon. In shor, accoring o SHIBOR price quoaion mechanisms, commercial banks of SHIBOR price quoaion member are boh ahlees an juges. This mechanism lea o commercial banks may have moive o manipulae SHIBOR price quoaion wih self-ineres.of course, wheher here are real manipulaing evens may nee o be rule from a legal perspecive, his paper only from he acaemic sie, base on limie aa an logical assumpions, o a hypohesis esing on SHIBOR manipulaion even. The paper is organize as follows. In secion wo, we analyzes he aa of financial prouc line o SHIBOR.In secion hree, we pu forwar some moels o o hypohesis esing on SHIBOR manipulaion even, Finally, secion four offers some concluing remarks.. Daa of financial proucs linke o seven-ays-shibor an hree-monhs-shibor Since, many Chinese commercial banks have issue a lo of financial proucs linke SHIBOR. For example, in he pas wo years, a commercial bank of SHIBOR price quoaion have issue more han variey financial proucs linke SHIBOR,an he mos acive financial proucs linke SHIBOR were linke o seven - ays-shibor or hree-monhs-shibor.so he following research mainly focus on he financial proucs linke o seven-ays-shibor or hree-monhs-shibor. In he European financial marke, Euroollar eposis an LIBOR usually is highly relevan an consisen. So Euroollar eposis also have a role o juge wheher LIBOR is raional. Bu in Chinese, here is no an auhoriaive hir-pary rae reference o wheher SHIBOR is raional. any scholars hink ha he Repo rae of Naional bon may be a goo reference o wheher SHIBOR is raional, an o some empirical researches beween SHIBOR an repo rae of naional bon. So we collec he aa of seven-ays-shibor hree-monhs-shibor seven-aysrepo-rae hree-monhs-repo-rae beween an. The resul of saisical analysis of he aa are shown in able Fig an Fig. Table. Saisical analysis on repo rae an SHIBOR Rae ype Number of vali ean Sanar eviaion Uni roo saionery es aa seven-ays-shibor %.57% saionery seven-ays-repo-rae %.54% saionery hree-monhs-shibor %.5% none saionery hree-monhs-repo-rae %.59% none saionery

3 Lin Chen an Zongfang Zhou / Proceia Compuer Science 7 ( 3 ) Fig. Seven-ays-SHIBOR an Seven-ays-Repo-Rae Fig. Three-monhs-SHIBOR an Three-monhs -Repo-Rae Accoring o he saisical characerisics an he ren of Figure ~, an referring o he repurchase marke ineres rae fin here is obviously anomaly of SHIBOR; his is also consisen wih some empirical suies of he ineracion beween SHIBOR an repo rae. Furher we have collece he aa of financial proucs linke o SHIBOR issue by a commercial bank of SHIBOR price quoaion. Those financial coupon relies on he seven-ays-shibor or Three-monhs- SHIBOR. Corresponing o each rae of seven-ays-shibor an Three-monhs-SHIBOR beween an, we noe hose aes ha i is he coupon ae of financial proucs linke o seven-ays-shibor an Three-monhs SHIBOR,an enoe i by variable S 7 an S 3 7 S,i is he coupon ae of financial proucs linke o seven - ays -SHIBOR oher 49 3 S,i is he coupon ae of financial proucs linke o hree - monhs -SHIBOR oher 5 So S means i is a coupon ae of a financial proucs linke o seven-ays-shibor a ime If a commercial bank of SHIBOR price quoaion expecs o manipulae SHIBOR for help sale he financial proucs linke o SHIBOR, hey may will quoe higher SHIBOR uring he sales perio an len o invesor have

4 94 Lin Chen an Zongfang Zhou / Proceia Compuer Science 7 ( 3 ) more higher expece inves reurn. On he oher han, afer over he sales aciviy, an a coupon ae reference o SHIBOR, hey may will quoe lower SHIBOR for pay more lower coupon o invesor. This anipulaion will give more profi o commercial bank form issue financial proucs linke o SHIBOR. Accoring o above analyzes, if here are obviously manipulaion of SHIBOR, a a coupon ae of financial proucs linke o SHIBOR, here may be a lowes quoaion price for SHIBOR.So we have one a saisics analysis how much SHIBOR aa on a coupon ae of financial proucs lower han he average value of five ays aa (Table ). Table. Saisical analysis financial proucs Financial proucs ype The oal number of coupon ae The oal number of ha SHIBOR on a coupon ae of financial proucs lower han he average value of five ays SHIBOR linke o seven-ays-shibor 63= S 7 33 linke o hree-monhs-shibor 4= S 3 4 However, accoring he hir column aa of able, here isn a more probabiliy o suppor our assumes of SHIBOR manipulaion, so we will pu for a moel o o a hypohesis esing in nex secion. 3. Hypohesis esing on SHIBOR manipulaion Accoring above analyze for moive of SHIBOR manipulaion, he manipulaion may will ake place a wo perios, one perio is uring he ae of sale an he oher perio is he coupon ae of financial prouc. SHIBOR manipulaion has ifferen purpose an meho a wo perios. So a firs, we pu for following assumpions. Hypohesis During he ae of sale financial prouc, here is SHIBOR manipulaion even. Hypohesis During he coupon ae of financial prouc, here is SHIBOR manipulaion even. Seconly, here are some variable enoaions nees o inrouce () h 7 enoes he aa of seven-ays-shibor. () (3) h 3 r 7 r 3 enoes he aa of hree-monhs-shibor. enoes he aa of seven-ays-repo-rae. (4) enoes he aa of hree-monhs-repo-rae. The efiniion of S 7 an S 3 see secion wo, an enoe he one of ae beween an. When a ime, begin o sale he financial prouc linke o SHIBOR, he unknown informaion are fuure value of SHIBOR a coupon ae, bu he coupon ae of financial prouc is known for commercial bank or invesor, In he same, he fuure values of S 7 or S 3 are eerminae,ec S k or S k. If we known nex ay is he reference ae of SHIBOR for eermining how much coupon will be efraye o invesor, oay i may be quoe higher SHIBOR an le invesor expec he nex ay will have same high SHIBOR. On he oher han, he SHIBOR marke may reference o he repo marke, so we have a following moe h c h r S () h c h r S () In Eq.() an Eq.() here are one erm of lag SHIBOR an repo rae of ime series. If hypohesis is rue,

5 Lin Chen an Zongfang Zhou / Proceia Compuer Science 7 ( 3 ) The in Eq. () will be posiive, an i is significaive unerling a cerain probabiliy, so he hypoheses equal o he following hypohesis es H H Then, we ge he evaluaion of coefficien in Eq. () by OLS h..3 h.683r.8 S (4) The - saisics of is , corresponing probabiliy p. 793.If he confience level is %, so i will refuse hypohesis H, I means ha S is a significaive epenen variable of S 7 (3), an because.8,i means ha nex ay is he reference ae of SHIBOR for eermining coupon of financial prouc linke o SHIBOR,hen a ae commercial bank will quoe higher SHIBOR for he sake of aracing invesor o buy he financial proucs, which means here are some poenial SHIBOR manipulaion even. Bu if he confience level is % or 5%, we can refuse hypohesis H, which means here are no some poenial SHIBOR manipulaion even. I is homologous o above hypohesis H, Do a hypohesis es of in Eq. () by following hypohesis es H (5) H We also ge he evaluaion of coefficien in Eq. () by OLS h h r.54 S (6) The - saisics of is , corresponing probabiliy p. 448.So unerling he confience level % 5% an % H,I means ha is significaive,an a he reference ae of SHIBOR for eermining coupon of financial prouc linke o SHIBOR has no SHIBOR manipulaion even. Similarly, we use aa of hree-monhs-shibor an hree-monhs -repo-rae o he same hypohesis esing by following equaion 3 h c3 3h 3r 3S (7) h c4 4h 4r 4S (8) An he evaluaion of Eq. (7) an Eq.(8) are following h h r.97 S (9) h h r.74 S () The - saisics is. 873 an p. 69, an p. 55. Finally, accoring o he confience level % 5% an %, he summarize resul in able 3. Table3. The summarize of hypohesis esing Hypohesis esing Hypohesis esing Hypohesis esing Daa Type Financial prouc linke o sevenays-shibor Financial prouc linke o hree-monhs-shibor Financial prouc linke o sevenays-shibor Financial prouc linke o hree-monhs-shibor confience level % 5% % Refusing Refusing No Refusing Refusing Refusing No Refusing Refusing Refusing Refusing Refusing Refusing Refusing In summary, base on he limie aa an sample analysis, we hink ha uring he perio of sales financial proucs linke o SHIBOR.The commercial banks may quoe higher SHIBOR for he sake of improve he expece

6 944 Lin Chen an Zongfang Zhou / Proceia Compuer Science 7 ( 3 ) he reurn of financial proucs. Bu here may no be quoe lower SHIBOR a he reference ae of coupon of financial proucs. 4. Summary In shor wors, here may also exis he possibiliy of manipulaion SHIBOR in Chinese financial marke in erms of logic or saisical hypohesis esing on he cerain aa of financial proucs linke o SHIBOR. Alhough we hink ha he esign of financial proucs linke o SHIBOR will affec he moive of SHIBOR manipulaion an he feasibiliy of SHIBOR manipulaion for co mmercial banks. Bu as long as commercial banks are boh issuer of financial proucs linke o SHIBOR an offer of SHIBOR, here are moive o manipulae SHIBOR. To reuce his inrinsic moivaion of SHIBOR manipulaion, i shoul be srong o regulae he financial proucs esign, an opimize he quoe mechanism; Of course, here are sill a lo of works worh exploring. Acknowlegemens This research has been suppore by Humaniies an Social Sciences uner he inisry of Eucaion of China (No. XJC63), an Naional Naural Science Founaion of China (7975, 7743), he Special Research Founaion of PhD Program of China (85). References [] Yi G Furher esablishe he benchmark saus of SHIBOR Journal of policy analysis 8 () 7. [] Zhou SN a JT Din PP SHIBOR benchmark s a us research an improvemen Journal of finance evelopmen research 8 () [3] Bai BC,Shun S. Research on benchmark rae in money marke base on analysis of SHIBOR Journal of ShangDongg universiy of finance () 9. [4] Shi G,Gao K. Valiaion esing on he SHIBOR as China's money marke benchmark ineres rae Journal of finance scince () 8. [5] Tan ZD Hu HO The shor-erm SHIBOR jump behavior explaine by Ineres rae moel Journal of operaion an managemen,,() [6] Yang BC Shu Y.P. echanisms conver of SHIBOR ynamic charac eris ics of he risk premium Journal of sysem engineering,, 7() 7. [7] Pany S Wei XH Zhang,ec Empirical Suy of he iner bank paymen sream inerbank offere rae relaionship Journal of finance research 9 () [8] Wang BX The research on he price of s iscoune rae base on SHIBOR Journal of finance forum, () 4 9. [9] Wang XN Wang HT The s erm srucure base on expece heory Journal of operaion an managemen 9(3) 4 3. [] Du J Zhe HH Comparaive suy base on SHIBOR nese class of he ineres rae erm srucure moel Journal of HuNang universiy 37(7) [] Huang Y Empirical Analysis of he ifference beween he iner bank bons repurchases rae an SHIBOR Journal of HuaDong normal universiy 39(6) 4 6. [] Li H Empirical Suy on SHIBOR an bon repurchase rae Journal of china business circles, (9) 3 5.